Basic LSTM code
Joseph Doyle
17/02/2020
Imports
library(keras)
library(tensorflow)
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## layoutlibrary(Metrics)## Warning: package 'Metrics' was built under R version 3.6.2getSymbols("GOOG")## 'getSymbols' currently uses auto.assign=TRUE by default, but will
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## This message is shown once per session and may be disabled by setting
## options("getSymbols.warning4.0"=FALSE). See ?getSymbols for details.## [1] "GOOG"head(GOOG)## GOOG.Open GOOG.High GOOG.Low GOOG.Close GOOG.Volume GOOG.Adjusted
## 2007-01-03 232.1299 237.4400 229.6940 232.9220 15470700 232.9220
## 2007-01-04 233.6243 241.0714 233.3005 240.7277 15834200 240.7277
## 2007-01-05 240.3491 242.8398 238.1623 242.6853 13795600 242.6853
## 2007-01-08 242.9344 244.0204 240.1997 240.8871 9544400 240.8871
## 2007-01-09 241.8186 243.2134 239.7015 241.8435 10803000 241.8435
## 2007-01-10 241.3105 245.8535 240.1200 243.8161 11981700 243.8161data<-read.csv("GOOG.csv")Plots
## Standardisation of the data
msd.open = c(mean(myts$Open), sd(myts$Open))
msd.low = c(mean(myts$Low), sd(myts$Low))
msd.close = c(mean(myts$Close), sd(myts$Close))
msd.high = c(mean(myts$High), sd(myts$High))
msd.vol = c(mean(myts$Volume), sd(myts$Volume))
myts$Close = (myts$Close - msd.close[1])/msd.close[2]
myts$Volume = (myts$Volume - msd.vol[1])/msd.vol[2]
myts$High = (myts$High-msd.high[1])/msd.high[2]
myts$Open=(myts$Open-msd.open[1])/msd.open[2]
myts$Low=(myts$Low-msd.low[1])/msd.low[2]Data preparation
datalags = 10
train = myts[seq(2700 + datalags), ]
test = myts[2700 + datalags + seq(1100 + datalags), ]
batch.size = 50
x.train = array(data = lag(cbind(train$Close, train$Volume,train$High,train$Open,train$Low), datalags)[-(1:datalags), ], dim = c(nrow(train) - datalags,
datalags, 5))
y.train = array(data = train$Close[-(1:datalags)], dim = c(nrow(train)-datalags, 1))
x.test = array(data = lag(cbind(test$Volume, test$Close, test$High,test$Open,test$Low),datalags)[-(1:datalags), ], dim = c(nrow(test) - datalags, datalags, 5))
y.test = array(data = test$Close[-(1:datalags)], dim = c(nrow(test) - datalags, 1))#Model
model <- keras_model_sequential()
model %>%
layer_lstm(units = 100,
input_shape = c(datalags, 5),
batch_size = batch.size,
return_sequences = TRUE) %>%
layer_dropout(rate = 0.5) %>%
layer_lstm(units = 50,
return_sequences = FALSE) %>%
layer_dropout(rate = 0.5) %>%
layer_dense(units = 1)
model %>%
compile(loss = 'mae', optimizer = 'adam', validation_split="0.1")
model## Model
## Model: "sequential"
## ________________________________________________________________________________
## Layer (type) Output Shape Param #
## ================================================================================
## lstm (LSTM) (50, 10, 100) 42400
## ________________________________________________________________________________
## dropout (Dropout) (50, 10, 100) 0
## ________________________________________________________________________________
## lstm_1 (LSTM) (50, 50) 30200
## ________________________________________________________________________________
## dropout_1 (Dropout) (50, 50) 0
## ________________________________________________________________________________
## dense (Dense) (50, 1) 51
## ================================================================================
## Total params: 72,651
## Trainable params: 72,651
## Non-trainable params: 0
## ________________________________________________________________________________{
history<- model %>% fit(x = x.train,
y = y.train,
batch_size = batch.size,
repeats = 10,
epochs = 100,
verbose = 1,
validation_split = 0.1,
shuffle = FALSE)
}pred_out <- model %>% predict(x.test, batch_size = batch.size) %>% .[,1]
myts$index <- 1:nrow(myts)
tsactual<-data[c(2701:3790),c(5)]
plot_ly(myts, x = ~index, y = ~Close, type = "scatter", mode = "markers", color = ~Volume) %>%
add_trace(y = c(rep(NA, 2700), pred_out), x = myts$index, name = "LSTM prediction", mode = "lines")## Warning: line.color doesn't (yet) support data arrays
## Warning: line.color doesn't (yet) support data arraysplot(history)
yhat<- pred_out[c(0:1090)]*msd.close[2]+msd.close[1]
Testerror<-rmse(tsactual,yhat)
Testerror## [1] 74.26058